"It was disappointing. We let ourselves down, but well done to them, they made it difficult for us to break them down, in the first half at least," Holloway told the club's official website.
"When we went 1-0 down we didn't respond how I would want and the longer it went on the worse it got. We have to play a lot better at Reading on Tuesday and it's up to me to make sure we do."
Saturday's defeat has seen Millwall drop down to seventh place in the table after six games.